scientific article; zbMATH DE number 6452735

DOI10.13413/J.CNKI.JDXBLXB.2014.05.16zbMath1324.91072MaRDI QIDQ5257277

Benxi Zhu, Haiming Song, Zhiyu Wang, Jingshi Li

Publication date: 29 June 2015

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Black-Scholes modelAmerican put optionoptimal exercise boundary

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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